Hi Sandeep,
In .Net protocol .Net 4 starts to be supported in LoadRunner 11.5x on backward compatibility level. Additionally the Application Under test needs to be compiled in "AnyCPU" mode only.
In LR 11.04 only .Net 3.5 is supported.
You can check LoadRunner support matrixes in the following link: http://support.openview.hp.com/sc/support_matrices.jsp#LR
With WinSock protocol you will probably need to make correlation to be able to reply the script.
Additional option will be GUI -base protocols such as RDP or Citrix which can be used as a workaround but they allow lower number of vusers to be run on a single load generator.
Kind regards,